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Replication data for: The Quanto Theory of Exchange Rates

Version
V0
Resource Type
Dataset
Creator
  • Kremens, Lukas
  • Martin, Ian
Publication Date
2019-03-01
Description
  • Abstract

    We present a new identity that relates expected exchange rate appreciation to a risk-neutral covariance term, and use it to motivate a currency forecasting variable based on the prices of quanto index contracts. We show via panel regressions that the quanto forecast variable is an economically and statistically significant predictor of currency appreciation and of excess returns on currency trades. Out of sample, the quanto variable outperforms predictions based on uncovered interest parity, on purchasing power parity, and on a random walk as a forecaster of differential (dollar-neutral) currency appreciation.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.20180019 (Text)
Publications
  • Kremens, Lukas, and Ian Martin. “The Quanto Theory of Exchange Rates.” American Economic Review 109, no. 3 (March 2019): 810–43. https://doi.org/10.1257/aer.20180019.
    • ID: 10.1257/aer.20180019 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Kremens, Lukas; Martin, Ian (2019): Replication data for: The Quanto Theory of Exchange Rates. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E113206